Event processing for Sagas is a bit different, in that every segment will process all events. For every segment, given the event any matching Saga instance will be fetched and the corresponding Saga event handler invoked.
Only if you have more than one Saga instance associated with the same value; in that case each instance (in its respective segment) will process the event.
But typically the mapping between association value and Saga instance is 1-1.
Just as a sanity check, increasing the number of segments for a Saga will increase its processing speed, as long as the events belong to different saga instances.
Be aware that as all segments process every event, it means that the Saga store will, e.g. if you have X segments, be queried X times for every event. So while increasing segments in general increases parallelism, with Sagas (and large number of segments) this might actually become a bottleneck.